Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0103 |
| Annualized Std Dev | 0.2398 |
| Annualized Sharpe (Rf=0%) | 0.0429 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4357.0000 |
| NAs | 1.0000 |
| Minimum | -0.2491 |
| Quartile 1 | -0.0047 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0060 |
| Maximum | 0.2534 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0151 |
| Skewness | -0.2003 |
| Kurtosis | 49.6650 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0116 |
| Loss Deviation | 0.0134 |
| Downside Deviation (MAR=210%) | 0.0153 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.7333 |
| Historical VaR (95%) | -0.0202 |
| Historical ES (95%) | -0.0363 |
| Modified VaR (95%) | -0.0104 |
| Modified ES (95%) | -0.0104 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2014-06-10 | -0.7333 | 1767 | 444 | 1323 |
| 2018-01-29 | 2020-03-18 | NA | -0.5815 | 792 | 538 | NA |
| 2014-06-23 | 2016-01-20 | 2017-12-22 | -0.3333 | 885 | 398 | 487 |
| 2003-12-18 | 2004-07-26 | 2006-12-01 | -0.1855 | 745 | 150 | 595 |
| 2007-02-27 | 2007-03-05 | 2007-04-04 | -0.0500 | 27 | 5 | 22 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | -0.7 | -0.9 |
| 2004 | 0.6 | -0.6 | 0.1 | -1.5 | -0.1 | 0.8 | 0.7 | 1.1 | 0.9 | -0.1 | 1.2 | 0.3 | 3.5 |
| 2005 | 0.6 | 0.7 | 0.2 | -0.3 | 0.4 | 0.4 | 0.6 | -0.1 | 0.2 | -1.2 | 1.4 | 0 | 2.7 |
| 2006 | 0.5 | -0.1 | -0.5 | 0 | 0.5 | 0.4 | -0.2 | 0.4 | 0.3 | -0.3 | 0.2 | -0.1 | 1.1 |
| 2007 | -0.1 | -0.6 | -0.2 | -0.4 | 0.2 | -0.2 | 0 | 0.9 | 1.2 | -1.9 | 1.6 | 0.4 | 0.9 |
| 2008 | 0.8 | -2 | 2.6 | 1.9 | -0.5 | 0.2 | -0.5 | 1 | 2.8 | 4.3 | -9.9 | 3.3 | 3.2 |
| 2009 | -1.8 | -2.3 | 1.9 | 0.1 | 3.3 | 1.7 | 0.4 | -2.3 | -2.3 | -2.9 | 1 | -0.5 | -3.8 |
| 2010 | 1.5 | 0.4 | 1 | -1 | -2.9 | -0.9 | 0.8 | 3.4 | 0.5 | -0.1 | 1 | -0.2 | 3.4 |
| 2011 | 1 | -0.7 | 0.5 | 0.2 | -1.2 | 1.7 | 0.8 | -0.4 | -2.6 | -3.2 | 0.8 | 1.6 | -1.6 |
| 2012 | 0.4 | 0.2 | 0.1 | 0.4 | -2.7 | 1.2 | -0.2 | 1 | -0.5 | 1.3 | 0.7 | 1.3 | 3.3 |
| 2013 | 0.4 | 0.6 | -0.9 | -0.4 | -1.4 | -0.1 | 0.5 | -0.4 | 1 | -0.7 | 0.3 | 0.2 | -0.8 |
| 2014 | -1.5 | 0 | 0.6 | -0.1 | 0.2 | 0.7 | -1.2 | -0.2 | -1.3 | 1.2 | -1.7 | 0 | -3.2 |
| 2015 | -1.1 | -0.1 | -0.5 | 0.9 | -0.3 | 0.2 | -0.1 | -2.5 | 4.5 | 0.9 | 0.6 | -0.5 | 1.8 |
| 2016 | 0.1 | 2.4 | 0.1 | 0.2 | 0.4 | 1.1 | -0.8 | -0.9 | 0.3 | -1.1 | 0.7 | -0.2 | 2.1 |
| 2017 | 0.3 | 1.1 | -0.4 | 0.1 | 0.6 | 0.3 | -0.2 | 0.9 | 0.2 | 0.3 | -0.3 | 0.5 | 3.6 |
| 2018 | -0.1 | -1.8 | 1.1 | -0.6 | 0 | 0.2 | -0.3 | -0.1 | 0 | 1.4 | 1 | 1.3 | 2.2 |
| 2019 | 0.3 | 0.3 | 1.1 | -0.4 | -1.6 | 0.8 | -1 | 1.1 | -0.4 | 0.7 | -0.5 | 0.4 | 0.8 |
| 2020 | -2.2 | -3.2 | -5.3 | -3.2 | 2.4 | 0.1 | -1 | 0.1 | 1.1 | -1.2 | 1.2 | -0.2 | -11 |
| 2021 | 1.8 | 1.8 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-11-25 20 SPY 106. 0.0038 0.0207 0.0228 0.0584 0.134 -0.224 NA <NA> NA NA NA
2 2003-11-26 20.0 SPY 106. 0.0036 0.0158 0.0127 0.0557 0.16 -0.210 NA <NA> NA NA NA
3 2003-11-28 20.0 SPY 106. 0.0008 0.0257 0.0121 0.0494 0.129 -0.214 NA <NA> NA NA NA
4 2003-12-01 20 SPY 108. 0.0108 0.0325 0.0209 0.0467 0.145 -0.186 NA <NA> NA NA NA
5 2003-12-02 20.1 SPY 107. -0.0025 0.0165 0.0193 0.0384 0.140 -0.204 NA <NA> NA NA NA
6 2003-12-03 20.2 SPY 107. -0.0016 0.011 0.011 0.0363 0.154 -0.212 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
